保證金要求，波動(dòng)性，與市場(chǎng)誠(chéng)信通過(guò)這些“碰撞”我們學(xué)到了什么？【外文翻譯】

1、<p><b>　　外文翻譯</b></p><p><b>　　原文</b></p><p>　　Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?</p><p>　　Mate

2、rial Source: Journal of Financial Services Research 13:3 231-255 (1998)</p><p>　　Author: Paul H. Kupiec</p><p>　　The Securities Exchange Act of 1934 granted the Federal Reserve Board (FRB) power

3、 to set initial, maintenance, and short sale margin requirements on all securities traded on a national exchange for purposes of regulating the securities credit extended by exchange members. Pursuant to this authority,

4、the FRB established Regulation T, the rules governing the percentage of equity value a broker/dealer was allowed to lend on exchange traded securities.1 Although securities markets have a long histor</p><p>

5、　　Many theoretical models relate futures margin requirements to trading activity and price volatility in the futures contract. A substantial literature investigates both the theory of prudential margin requirements and t

6、heories that attempt to relate margin requirement changes to changes in the speculative behavior of agents. In futures markets, margin requirements set the counterparty collateral rules that help ensure contract performa

7、nce. This so-called prudential function generally is associate</p><p>　　In the literature that relates margin requirements to the behavior of futures traders; most models follow Telser (1981) and assume that

8、 margin requirements impose a liquidity cost on futures market participants. Telser argues that all agents have a precautionary demand for liquid asset holdings like Treasury bills. Treasury bills also can be posted to s

9、atisfy futures margin requirements. Even though the Treasury bill owner still accrues interest, T-bills posted as margin deposits no longer satis</p><p>　　Hartzmark (1986) considers the effects of altering m

10、argin requirements on the price volatility and level of trading activity in futures markets. He develops a theoretical framework that includes groups of traders that differ in their price expectations, risk aversions, op

11、timal cash holdings, and their perception of the covariance between spot and futures price changes. In his model, a uniform change in the margin requirement imposes differential changes in liquidity costs across agents,

12、owing to</p><p>　　Pliska and Shalen (1991) formulate a theoretical model designed to investigate the effects of margin requirements and position limits on futures trading activity and price volatility. Their

13、 model incorporates an exogenous hedger demand and multiple speculators with heterogeneous expectations. Margin requirements are assumed to impose a cost in proportion to the absolute value of a futures position. Specula

14、tors transact in the futures market by maximizing a mean-variance utility function based on</p><p>　　There is another potential channel through which futures margin requirements may affect the underlying ins

15、trument's cash price volatility. The ability to default on a clearinghouse-guaranteed derivative contract may be valuable to clearinghouse counterparty. It can be formally demonstrated that the value of this implicit

16、 default option is equal to the value of a put option written on the instrument that underlies the contract. This implicit option is granted to the counterparty by the clearingho</p><p>　　After examining the

17、 academic evidence that investigates the relationship between margin and volatility in both the cash and futures markets and considering the results of studies that measure the effects of derivative market introductions,

18、 this study concludes that no substantial body of scientific evidence supports the hypothesis that margin requirements can be systematically altered to manage the volatility in stock markets. The empirical evidence shows

19、 that, while high Reg T margin requiremen</p><p><b>　　譯文</b></p><p>　　保證金要求，波動(dòng)性，與市場(chǎng)誠(chéng)信：通過(guò)這些“碰撞”我們學(xué)到了什么？</p><p>　　資料來(lái)源：金融服務(wù)研究期刊13:3 231-255 (1998) 作者：保羅</p>

20、;<p>　　證券交易法在1934年獲得美國(guó)聯(lián)邦儲(chǔ)備理事會(huì)的權(quán)力上，這是所有證券交易的初始，國(guó)家匯率延長(zhǎng)交流成員為了維護(hù)和賣(mài)空的保證金要求來(lái)規(guī)范證券信用目的。根據(jù)這項(xiàng)權(quán)力，聯(lián)邦儲(chǔ)備委員會(huì)成立法規(guī)T，這是規(guī)則管資產(chǎn)價(jià)值的百分比經(jīng)紀(jì)/交易商被允許提供的交易所上市。雖然證券市場(chǎng)有一個(gè)歷史悠久的聯(lián)邦保證金規(guī)例，直到1992年，當(dāng)美國(guó)國(guó)會(huì)延長(zhǎng)了聯(lián)邦儲(chǔ)備銀行的保證金設(shè)定權(quán)力，包括股票指數(shù)期貨合約的保證金水平，是一個(gè)聯(lián)邦規(guī)例訂定的期貨保

21、證金水平。</p><p>　　許多理論模型都會(huì)涉及到貿(mào)易活動(dòng)和期貨合約價(jià)格波動(dòng)的期貨保證金的要求。一個(gè)大量文獻(xiàn)的調(diào)查都需要審核保證金要求和相關(guān)理論，以試圖改變保證金要求在投機(jī)行為變化上的代理理論。在期貨市場(chǎng)上，保證金交易對(duì)手的抵押品都要求設(shè)置規(guī)則，以確保合同的履行。這種所謂的審慎的功能一般是贊成以票據(jù)交換所擔(dān)保的衍生工具合約的保證金要求，但鑒于解決程序，購(gòu)買(mǎi)股票實(shí)際上是一種遠(yuǎn)期合同會(huì)受到違約風(fēng)險(xiǎn)。例如，如果一個(gè)

22、票據(jù)交換所擔(dān)保的票據(jù)交換所交易對(duì)手或反對(duì)，如果一個(gè)選項(xiàng)是反對(duì)的衍生工具合約移動(dòng)行使價(jià)，票據(jù)交換所交易對(duì)手可能有動(dòng)機(jī)拖欠合同義務(wù)。為了盡量減少對(duì)手的激勵(lì)違約，票據(jù)交換所要求的抵押品或?qū)κ趾鬄榍逅闼跏嫉谋ＷC金數(shù)額。一個(gè)重要文獻(xiàn)討論了制定審慎保證金需求的最優(yōu)方法。統(tǒng)一的審慎保證金文學(xué)的含義是，在其他條件相同的情況，應(yīng)設(shè)置保證金要求，使他們期望呈正相關(guān)期貨合約的價(jià)格波動(dòng)。因此，如果期貨結(jié)算所遵循審慎有效的邊距設(shè)置的程序，每個(gè)人都應(yīng)該遵守的要求

23、之間的期貨保證金和期貨合約的價(jià)格波動(dòng)正相關(guān)關(guān)系，無(wú)論任何影響它的利潤(rùn)率的活動(dòng)。</p><p>　　對(duì)文獻(xiàn)中有關(guān)保證金的要求對(duì)期貨商的行為，大多數(shù)模型是依據(jù)Telser（1981）和假定保證金要求強(qiáng)加給期貨市場(chǎng)參與者的流動(dòng)性成本。Telser認(rèn)為，所有代理有一個(gè)像國(guó)庫(kù)券流動(dòng)性資產(chǎn)持有的預(yù)防需求。國(guó)庫(kù)券也可以張貼，以滿(mǎn)足期貨保證金的要求。雖然國(guó)庫(kù)券業(yè)主仍累計(jì)利息，國(guó)庫(kù)券作為保證金存款張貼不再滿(mǎn)足代理人的需求為預(yù)防性

24、余額。其他條件相同的情況，較高的保證金要求將導(dǎo)致在代理的期貨頭寸收縮，使代理人的整體天賦可以同時(shí)支持期貨頭寸的保證金要求和預(yù)防性的液體平衡的需求。</p><p>　　Hartzmark（1986）認(rèn)為，保證金要求的影響改變對(duì)價(jià)格的波動(dòng)和期貨市場(chǎng)交易活躍程度。他開(kāi)發(fā)了一個(gè)理論框架，其中包括商人，在他們的價(jià)格預(yù)期不同，風(fēng)險(xiǎn)厭惡，最佳現(xiàn)金持有量，團(tuán)體和他們的期貨與現(xiàn)貨價(jià)格變動(dòng)的方差的看法。在他的模型，在規(guī)定的保證金要

25、求統(tǒng)一的變化在全劑流動(dòng)性成本差異的變化，由于在代理的特點(diǎn)和假釋的整體預(yù)期的差異。由于這些不可觀察的流動(dòng)性成本差異，保證金要求是不是一個(gè)可以有效地用于鼓勵(lì)那些在Hartzmark造成不必要的價(jià)格波動(dòng)模型代理人選擇退出工具。由于保證金變化將導(dǎo)致在該交易不可預(yù)知的人口組成的轉(zhuǎn)變，這對(duì)價(jià)格的波動(dòng)有著不可預(yù)測(cè)的影響。</p><p>　　Pliska和Shalen（1991）制定的理論模型旨在探討保證金要求和交易活動(dòng)對(duì)期貨

26、持倉(cāng)限額和價(jià)格波動(dòng)的影響。他們的模型采用了外源避險(xiǎn)需求，期望和多種異構(gòu)投機(jī)者。假定保證金要求按比例征收的一個(gè)期貨頭寸的絕對(duì)值成本，投機(jī)者在期貨市場(chǎng)交易的最大化，平均方差效用函數(shù)在一個(gè)嘈雜的現(xiàn)貨價(jià)格預(yù)期為基礎(chǔ)。Pliska和Shalen表明，保證金成本誘導(dǎo)成個(gè)人投機(jī)者的需求函數(shù)買(mǎi)賣(mài)問(wèn)蔓延的不連續(xù)性。由于利潤(rùn)增加，每個(gè)投機(jī)者的買(mǎi)賣(mài)問(wèn)蔓延擴(kuò)大，并在總量，投機(jī)者的交易需求下降及未平倉(cāng)合約的跌幅。雖然Pliska和Shalen無(wú)法解析建立在保證金

27、需求變化的影響，他們調(diào)查了數(shù)值模擬演習(xí)波動(dòng)的影響。他們發(fā)現(xiàn)，一旦保證金要求超出閾值水平的提高，就會(huì)增加波動(dòng)增加保證金的要求。</p><p>　　還有另外一個(gè)潛在的渠道，期貨保證金要求可能會(huì)影響相關(guān)工具的現(xiàn)金價(jià)格波動(dòng)。默認(rèn)的能力票據(jù)交換所擔(dān)保的衍生工具合約可能是有價(jià)值的票據(jù)交換對(duì)手。它可以正式證明，這一隱含的默認(rèn)選項(xiàng)的值是相等的基礎(chǔ)上的文書(shū)，合同的書(shū)面認(rèn)沽期權(quán)的價(jià)值。這隱含的期權(quán)被授予由票據(jù)交換所交易對(duì)手。還有另

28、外一個(gè)潛在的渠道，期貨保證金要求可能會(huì)影響相關(guān)工具的現(xiàn)金價(jià)格波動(dòng)。默認(rèn)的能力票據(jù)交換所擔(dān)保的衍生工具合約可能是有價(jià)值的票據(jù)交換對(duì)手。它可以正式證明，這一隱含的默認(rèn)選項(xiàng)的值是相等的基礎(chǔ)上的文書(shū)，合同的書(shū)面認(rèn)沽期權(quán)的價(jià)值。這隱含的期權(quán)被授予由票據(jù)交換所交易對(duì)手。關(guān)于這個(gè)隱含的認(rèn)沽期權(quán)行使價(jià)，部分是由合同的審慎的保證金要求。因?yàn)樗鼪](méi)有明確提出征收此默認(rèn)選項(xiàng)，票據(jù)交換所應(yīng)調(diào)整的利潤(rùn)，對(duì)所有選手來(lái)說(shuō)，這樣的選擇是毫無(wú)價(jià)值。否則，就可以要求代理合同

29、，并采取的立場(chǎng)只是從一個(gè)錯(cuò)誤定價(jià)的票據(jù)交換所保證的利潤(rùn)。因此，如果一個(gè)合約的保證金要求是從審慎監(jiān)管的角度設(shè)置不當(dāng)?shù)?，合同需求可能受到刺激。這種情況可能導(dǎo)致償付能力問(wèn)題的交流中心與市場(chǎng)波動(dòng)相關(guān)的影響。</p><p>　　在審查證據(jù)的學(xué)術(shù)調(diào)查同時(shí)在現(xiàn)貨和期貨市場(chǎng)的波動(dòng)性之間的關(guān)系，保證金和考慮研究的結(jié)果，衡量衍生工具市場(chǎng)引進(jìn)的影響，這項(xiàng)研究的結(jié)論是，沒(méi)有大量的科學(xué)證據(jù)支持這一假設(shè)的身體保證金要求可以有系統(tǒng)地修改，以